ProShares UltraPro QQQ (TQQQ)

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Looking at the total return, or performance of 227.8% in the last 5 years of ProShares UltraPro QQQ, we see it is relatively higher, thus better in comparison to the benchmark SPY (106.2%)
• Looking at total return, or increase in value in of 237.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (69.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The compounded annual growth rate (CAGR) over 5 years of ProShares UltraPro QQQ is 26.9%, which is larger, thus better compared to the benchmark SPY (15.6%) in the same period.
• Looking at annual performance (CAGR) in of 50.4% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (19.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the 30 days standard deviation of 69.9% of ProShares UltraPro QQQ is larger, thus worse.
• Looking at historical 30 days volatility in of 67.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (17.7%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (12.2%) in the period of the last 5 years, the downside risk of 48.9% of ProShares UltraPro QQQ is greater, thus worse.
• Looking at downside deviation in of 45.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (11.6%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The ratio of return and volatility (Sharpe) over 5 years of ProShares UltraPro QQQ is 0.35, which is smaller, thus worse compared to the benchmark SPY (0.74) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.71 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (0.96).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The downside risk / excess return profile over 5 years of ProShares UltraPro QQQ is 0.5, which is smaller, thus worse compared to the benchmark SPY (1.08) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.06, which is lower, thus worse than the value of 1.46 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Index of 42 in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (8.48 )
• Compared with SPY (5.32 ) in the period of the last 3 years, the Downside risk index of 25 is greater, thus worse.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -81.7 days of ProShares UltraPro QQQ is smaller, thus worse.
• During the last 3 years, the maximum DrawDown is -58.2 days, which is lower, thus worse than the value of -18.8 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum time in days below previous high water mark of 762 days in the last 5 years of ProShares UltraPro QQQ, we see it is relatively greater, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 206 days, which is higher, thus worse than the value of 199 days from the benchmark.

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Compared with the benchmark SPY (120 days) in the period of the last 5 years, the average time in days below previous high water mark of 258 days of ProShares UltraPro QQQ is greater, thus worse.
• During the last 3 years, the average days under water is 60 days, which is greater, thus worse than the value of 46 days from the benchmark.